A solution to the positivity problem in the state-space approach to modeling vector-valued time series (Q2366136)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A solution to the positivity problem in the state-space approach to modeling vector-valued time series |
scientific article |
Statements
A solution to the positivity problem in the state-space approach to modeling vector-valued time series (English)
0 references
29 June 1993
0 references
state-space approach
0 references
vector-valued time series
0 references
autocovariance model
0 references
algebraic Riccati equation
0 references
state-vector covariance matrix
0 references
Fourier transform
0 references
covariance model
0 references
positive definite solution
0 references
zero-lag autocovariance matrix
0 references
unconditional error sum of squares
0 references
